If the previous test fails, then the Session variable named DSN_Name is not being loaded with the connection string to your SF2K database by your global.asa file.
If the global.asa file is correctly configured with your DSN connection info but this problem continues, it is likely that your web is not configured as a virtual directory and/or it is not set to be an application start point on the web server. Both of these settings are required to make your global.asa active or "fire".
This has to be set using the Interenet Service Manager on the server, so if this is not on your own server, contact your web host and have them correct this.